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SUMMARY:A Backward Particle Interpretation of Feynman-Kac Formulae -  Pier
 re Del Moral  (INRIA Bordeaux)
DTSTART:20100219T153000Z
DTEND:20100219T163000Z
UID:TALK22988@talks.cam.ac.uk
CONTACT:8047
DESCRIPTION:We design a particle interpretation of Feynman-Kac measures on
  path spaces based on a backward Markovian representation combined with a 
 traditional mean field particle interpretation of the flow of their final 
 time marginals. In contrast to traditional genealogical tree based models\
 , these new particle algorithms can be used to compute normalized additive
  functionals on-the-fly as well as their limiting occupation measures with
  a given precision degree that does not depend on the final time horizon. 
 We provide uniform convergence\n results w.r.t. the time horizon parameter
  as well as functional\n central limit theorems and exponential concentrat
 ion estimates\,\n yielding what seems to be the first results of this type
  for this\n class of models. We also illustrate these results in the conte
 xt of\ncomputational physics and imaginary time Schroedinger type partial\
 ndifferential equations\, with a special interest in the numerical\napprox
 imation of the invariant measure associated to h-processes.\n\nJoint work 
 with A. Doucet (UBC\, Statistics Dept.) and S. S. Singh (Cambridge\,  Engi
 neering Dept.)\n\n\n\n\n\n\n\n\n\n\n\n\n\n\nhttp://www.math.u-bordeaux1.fr
 /~delmoral/
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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